Weak drifts of infinitely divisible distributions and their applications

DOI10.1007/S10959-012-0419-2zbMATH Open1283.60023arXiv1204.1866OpenAlexW2052320773MaRDI QIDQ376248FDOQ376248

Authors: Ken-Iti Sato, Yohei Ueda 

Publication date: 4 November 2013

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

Abstract: Weak drift of an infinitely divisible distribution $mu$ on $mathbb{R}^d$ is defined by analogy with weak mean; properties and applications of weak drift are given. When $mu$ has no Gaussian part, the weak drift of $mu$ equals the minus of the weak mean of the inversion $m{u}^{\prime }$ of $mu$. Applying the concepts of having weak drift 0 and of having weak drift 0 absolutely, the ranges, the absolute ranges, and the limit of the ranges of iterations are described for some stochastic integral mappings. For L'{e}vy processes the concepts of weak mean and weak drift are helpful in giving necessary and sufficient conditions for the weak law of large numbers and for the weak version of Shtatland's theorem on the behavior near $t=0$; those conditions are obtained from each other through inversion.

Full work available at URL: https://arxiv.org/abs/1204.1866

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zbMATH Keywords

weak law of large numbersinfinitely divisible distributionShtatland's theoremstochastic integral mappingweak driftweak meanLévy Khinchin formula

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Processes with independent increments; Lévy processes (60G51) Stochastic integrals (60H05)

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Cited In (6)

• A simple condition for the multivariate CLT and the attraction to the Gaussian of Lévy processes at long and short times
• Stochastic integral and series representations for strictly stable distributions
• Description of limits of ranges of iterations of stochastic integral mappings of infinitely divisible distributions
• The dichotomy of recurrence and transience of semi-Lévy processes
• Inversions of Lévy measures and the relation between long and short time behavior of Lévy processes
• Inversions of infinitely divisible distributions and conjugates of stochastic integral mappings

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